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Posted in Research Topics.

InterDyne Development

Development of the InterDyne Simulator began in 2011, initially implemented using the functional language Miranda (link)(link to book).

To improve performance and to take advantage of improved profiling tools, InterDyne has since been ported to the functional language Haskell (link). The Glasgow Haskell Compiler (GHC) generates optimised and efficient native code.

Several UCL students and researchers have been involved either in the development of InterDyne, or in using InterDyne to run experiments in Interaction Dynamics.  These have included (with apologies for any ommissions):

  • Elias Court, who made significant contributions to the Miranda version of InterDyne, and to our understanding of interaction dynamics between HFT market makers.
  • Richard Everett, who helped explore mechanisms for state-space analysis
  • Kyle Liu, who undertook the initial port of InterDyne from Miranda to Haskell
  • Dmitrijs Zaparanuks, who helped resolve initial problems with the Haskell port, and contributed greatly to the analysis and understanding of interaction dynamics between HFT market makers
  • Justin Moser, who undertook initial experiments to explore the HFT "front-running" claims made by Michael Lewis
  • Aman Chopra, who conducted a more detailed exploration of Lewis's HFT "front-running" claims and also helped to resolve some subtle problems with the Haskell port
  • Vikram Bakshi, who substantially improved InterDyne's internal infrastructure and contributed new agents and a FIX messaging engine (link)
  • Saagar Hemrajani, who has explored the impact of Reg NMS on Lewis's HFT "front-running" claims (link)
  • Florian Obst, who has developed a visualisation tool for InterDyne trace files, to assist in detecting emergent behaviour

Prior to the development of InterDyne, other approaches to simulating Interaction Dynamics were explored. InterDyne occupies a "Goldilocks position" that neither models at a level of abstraction that is too high (eg probabilistic modelling) nor at a level that is too low (eg process modelling). Several student projects contributed to previous approaches, and these have included: